GammaProcessPCABridge

Constructs a new GammaProcessPCABridge with parameters
μ = mu,
ν = nu and initial value
S(t0) = s0.
The same stream is used to generate the gamma and beta random numbers. All
these numbers are generated by inversion in the following order:
the first uniform random number generated
is used for the gamma and the other d - 1 for the beta's.

Method Detail

generatePath

Generates, returns and saves the path
{X(t0), X(t1),…, X(td)}. This method does not use the
RandomStreamstream nor the
GammaGenGgen. It
uses the vector of uniform random numbers U(0, 1) provided by the user
and generates the path by inversion. The vector uniform01 must be of
dimension d.